It depends on the storm. If it is a thunderstorm and there is no shelter nearby, crouch down in the middle of a large area with a limited amount of tall objects nearby. Cars would make a good shelter as well, as they have rubber tires that repel lightning.
If it were a tornado, you need to seek a storm shelter or building with a basement immediately. Run as fast as you can looking for shelter.
If there is a hurricane or flood and there is no nearby shelter, hold onto a sturdy object nearby to stay afloat. If there is shelter, go to the highest level of the highest building. This will make you leas susceptible to the floods below.